Variance Ratio test on stock market prices - dissertation

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Variance Ratio test on stock market prices - dissertation

Postby AntColeman » Sat Mar 14, 2015 1:33 am

Hi guys, Im currently writing my dissertation and have never used SPSS before but my tutor told me to have a look as it allows me to conduct one of my needed tests - variance ratio.

For my dissertation i have had to download the trade data at 15 minute intervals for 20 companies on the FTSE100 for 140 days.. as you can imagine there is a lot of data (5000+ returns for each company).

Using excel i have worked out the price relative and Returns data. The returns data what i am studying to check for any predictability in the FTSE100.

I have gone onto SPSS simply put two rows of data for each company TIME / RETURNS.

How do i run the variance ratio test? because i cant seem to make it work?

Please bare in mind that i have never dealt with the program before, but i could really use your help on this.

I have tried to attach the file of my work but it wont accept excel files for some reason, but its basically 5000 variables in one column for each company

Thanks guys
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Re: Variance Ratio test on stock market prices - dissertatio

Postby GerineL » Fri Mar 27, 2015 3:34 pm

I assume you mean ANOVA when you talk about variance ratio test?
there are a lot of case studies online that might help you, for instance: ... yanova.htm

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